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1、WhereistheValueinHighFrequencyTrading?ÁlvaroCarteayandJoséPenalvazFebruary28,2011AbstractWeanalyzetheimpactofhighfrequencytradinginfinancialmarketsbasedonamodelwiththreetypesoftraders:liquiditytraders,marketmakers,andhighfrequencytraders.Ourfourmainfindings
2、are:i)Thepriceimpactoftheliquiditytradesishigherinthepresenceofthehighfrequencytraderandisincreasingwiththesizeofthetrade.Inpar-ticular,weshowthatthehighfrequencytraderreduces(increases)thepricesthatliquiditytradersreceivewhenselling(buying)theirequityhold
3、ings.ii)Althoughmarketmakersalsoloserevenuetothehighfrequencytraderineverytrade,theyarecompensatedfortheselossesbyahigherliquiditydiscount.iii)Highfrequencytradingincreasesthevolatil-ityofprices.iv)Thevolumeoftradesdoublesasthehighfrequencytraderintermedia
4、tesalltradesbetweentheliquiditytradersandmarketmakers.Thisadditionalvolumeisaconsequenceoftradeswhicharecarefullytailoredforsurplusextractionandareneitherdrivenbyfundamentalsnorisitnoisetrading.Inequilibrium,highfrequencytradingandtraditionalmarketmakingco
5、existascompetitiondrivesdowntheprofitsfornewhighfre-quencytraderswhilethepresenceofhighfrequencytradersdoesnotdriveouttraditionalmarketmakers.WewouldliketothankHarrisonHongforhisvaluablecommentsanddiscussions.WearealsogratefultoAndrésAlmazán,GeneAmromin,Mi
6、chaelBrennan,PeteKyleandEduardoSchwartzfortheircomments.WealsothankseminarparticipantsatCEMFI.Theusualcaveatapplies.Wewelcomecomments,includingreferenceswehaveinadvertentlymissed.Theviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyreflectthos
7、eoftheBancodeEspaña.yalvaro.cartea@uc3m.es,UniversidadCarlosIIIdeMadrid.zjpenalva@emp.uc3m.es,UniversidadCarlosIIIdeMadridandBancodeEspaña.1Electroniccopyavailableat:http://ssrn.com/abstract=1712765Keywords:Highfrequencytraders,highfrequencytrading,flashtra
8、ding,liquiditytraders,institutionalinvestors,marketmicrostructure1IntroductionAround1970,CarverMeadcoinedtheterm“Moore’slaw”inreferencetoMoore’sstatementthattransistorcountswoulddoubleeveryyear.Thereissomedeb
